It's clearly a challenging time for these retailers due to intense competition. Consumers are still spending after all. They are just increasingly shopping online and at trendier, cheaper mall upstarts.

Amazon has focused more on its own private label clothing brands lately and also has several in-store partnerships with Macy's and JCPenney rival Kohl's.

Walmart has made several splashy acquisitions of e-commerce companies, such as Jet, ModCloth, Bonobos and ShoeBuy as well.

And the rise of fast fashion retailers such as Zara, Uniqlo and Forever 21 is squeezing Macy's, JCPenney and L Brands too.

It just goes to show that the worst may not be over for struggling retailers just yet. To that end, shares of Target, Sears and Nordstrom were also lower Thursday.